Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0199
Annualized Std Dev 0.0635
Annualized Sharpe (Rf=0%) 0.3129

Row

Daily Return Statistics

Close
Observations 3017.0000
NAs 1.0000
Minimum -0.0434
Quartile 1 -0.0015
Median 0.0003
Arithmetic Mean 0.0001
Geometric Mean 0.0001
Quartile 3 0.0020
Maximum 0.0457
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0040
Skewness -1.0110
Kurtosis 23.4339

Downside Risk

Close
Semi Deviation 0.0030
Gain Deviation 0.0027
Loss Deviation 0.0035
Downside Deviation (MAR=210%) 0.0091
Downside Deviation (Rf=0%) 0.0030
Downside Deviation (0%) 0.0030
Maximum Drawdown 0.1517
Historical VaR (95%) -0.0054
Historical ES (95%) -0.0097
Modified VaR (95%) -0.0057
Modified ES (95%) -0.0063
From Trough To Depth Length To Trough Recovery
2019-12-30 2020-03-23 2020-11-05 -0.1517 217 58 159
2015-04-17 2016-02-11 2017-11-22 -0.0811 658 208 450
2018-01-29 2018-12-27 2019-12-16 -0.0781 475 231 244
2013-05-14 2013-06-24 2014-02-27 -0.0720 200 29 171
2009-11-17 2010-05-20 2010-09-29 -0.0693 218 127 91

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA -0.3 -0.2 0.3 -0.1 0.3 -0.7 -0.8 -1.4 0.3 0.1 -2.6
2010 0.6 0.4 0.7 -0.3 0 0.4 0.3 0.3 0.2 0.3 0.2 0.3 3.2
2011 0.4 -0.3 0.3 0.2 -0.5 0.2 0.1 -0.1 -0.2 -0.7 0 0.4 -0.3
2012 0.4 0.1 0 0 -0.4 0.3 0.1 0.3 0.2 0.5 0.1 0 1.6
2013 0 0.1 -0.5 -0.3 0.1 0.3 0.4 -0.1 0.2 -0.2 -0.1 0.2 0
2014 -0.3 -0.2 0.3 0.1 -0.1 0.4 -0.1 0.2 -0.6 0.5 -0.4 -0.2 -0.5
2015 -2 -0.2 -0.1 0.2 0.1 0 0.2 -0.3 0.1 0.2 0.6 -0.1 -1.4
2016 0.1 0.4 0.1 0 0.1 0.2 -0.2 0.2 0.1 -0.3 -0.3 0 0.2
2017 0.1 0.2 0 0.1 0.4 0.2 0.1 0 0.2 0.1 -0.2 -0.1 1.3
2018 -0.3 -0.4 0.5 0 0.2 0.2 -0.2 0.1 -0.1 0.5 -0.1 -0.2 0.2
2019 0 0.1 0.2 -0.2 -0.1 0.4 -0.2 0.1 -0.2 0.4 -0.3 0 0.3
2020 -0.5 -0.2 -1.3 -0.5 0.5 -0.3 -0.2 0.2 0.3 -0.3 0.5 -0.1 -2
2021 0.9 0.8 0.3 NA NA NA NA NA NA NA NA NA 2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2009-03-25  25.2 SPY    81.4  0.0105   0.019     0.0512  -0.0644   -0.388   -0.374   -0.256 GLD    92.0  0.0113  -0.0119
2 2009-03-26  25.2 SPY    83.1  0.0204   0.0528    0.0811  -0.0354   -0.374   -0.362   -0.241 GLD    91.9 -0.0005  -0.0256
3 2009-03-27  25.0 SPY    81.6 -0.018    0.0639    0.0792  -0.0583   -0.379   -0.372   -0.265 GLD    90.7 -0.0135  -0.031 
4 2009-03-30  24.8 SPY    78.8 -0.0346  -0.0417    0.0657  -0.096    -0.403   -0.390   -0.290 GLD    90.0 -0.0078  -0.0228
5 2009-03-31  24.9 SPY    79.5  0.00930 -0.0134    0.126   -0.085    -0.418   -0.388   -0.294 GLD    90.3  0.0033  -0.0074
6 2009-04-01  24.8 SPY    81.1  0.0194  -0.00480   0.157   -0.0889   -0.407   -0.376   -0.282 GLD    91.0  0.0083  -0.0103
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart